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Testing The Structure Of Conditional Correlations In Multivariate Garch Models: A Generalized Cross‐Spectrum Approach

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  • Nadine McCloud
  • Yongmiao Hong

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  • Nadine McCloud & Yongmiao Hong, 2011. "Testing The Structure Of Conditional Correlations In Multivariate Garch Models: A Generalized Cross‐Spectrum Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(4), pages 991-1037, November.
    • Handle: RePEc:ier:iecrev:v:52:y:2011:i:4:p:991-1037
    DOI: j.1468-2354.2011.00657.x
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    2. Takashi Isogai, 2015. "An Empirical Study of the Dynamic Correlation of Japanese Stock Returns," Bank of Japan Working Paper Series 15-E-7, Bank of Japan.
    3. Takashi Isogai, 2017. "Analysis of Dynamic Correlation of Japanese Stock Returns with Network Clustering," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(3), pages 193-220, September.
    4. Leong, Soon Heng & Urga, Giovanni, 2023. "A practical multivariate approach to testing volatility spillover," Journal of Economic Dynamics and Control, Elsevier, vol. 153(C).

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